Put the shrimp in a bowl and season with chili powder, salt, pepper, Old Bay, lime zest, olive oil and lime juice. Toss to coat the shrimps well. Put the shrimp out onto a large cutting board.
Wrap each shrimp in a piece of bacon and skewer. Brush skewers with olive oil to prevent sticking to the grill.
Once grill is heated to ~450F, oil the grill grate. Add the skewers, reduce heat to medium-high and grill 5-7 minutes per side until bacon is done and crisped on the edges.